I always replace the glow plug relay, and the starter relay under the dash as soon as I get a cucv. It's good insurance. They will fail by either not coming on or staying on. If they stay on, it will cause even more damage. You could cook a starter, wreck a flywheel, melt down the glowplugs, etc.
On the first cucv I ever owned, the starter relay stuck on and before I could get the batts disconnected the insulation on the starter wiring caught fire. By the time I got it put out I had to replace the starter, all of the wiring and a couple hoses and other misc. parts on the right side of the engine and firewall. Could have been worse though. Learned a couple lessons. Always carry a fire extinguisher and install new relays so you know what you have.